V-Lab
S&P GSCI Cocoa Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 31st, 2026
1 Day
59.85%
increased by 3.16%
1 Week
59.75%
increased by 3.06%
1 Month
59.37%
increased by 2.68%
Analysis last updated: Friday, August 28, 2026 at 11:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Aug 28, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 288 trading days (~1.1 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.05 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.6184 | 1.39 |
α ARCH Response to squared shocks | 0.0301 | 11.65*** |
β GARCH Volatility persistence | 0.9976 | 672.24*** |
ν DF Student-t tail thickness | 7.0452 | 1.84* |
Persistence:
0.998
Half-life:
288 days
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